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I have developed a fully automated trading system that I have been testing in Ninjatrader for the past 6 months and it is profitable.
My main question is: When do you know it is time to go live and try it out in the real world?
What are some important factors I should be considering when taking a system that is profitable in a live simulated environment to a live real money environment?
Also, a side question: Has anyone had experience of taking a system live and having the results perform better than the simulated results? I am assuming this would be a rare occurrence.
Thanks,
Erfan.
Can you help answer these questions from other members on NexusFi?
in my opinion, it's always up to you. 6 months simulation can be enough time before going live but it depends also how the system work. Anyway going live it's a useful process that will lead eventually to discover what's good and wrong with it and give you some info on where you can improve it.
Also in terms of results, you can expect either worst or better results according to how pessimistic you have been when you backtested your system.
Just to clarify, I have tested it for a year in market replay and 6 months in live simulation. Also,it takes an average of 40 trades per week so I think I have a good sample size.
I usually like to have at least a 10 years historical, but even so a system can be profitable in the last 10 years and still loose money when you put it live, because markets change. I don't have enough info on your system so I can't be very specific but only give you some general advices.
I think the answer you should ask yourself is why are you worryed to put it live?
If you are worried that you can have some technical problems that you don't see in SIM, the only way to discover is to put it live.
if you are worryed that your rules are not robust enough then you can backtest it in the most pessimistic way and see if it is still profitable. Look at your average trade if can handle some slippage or lost of signals, look your drawdown if it is compatible with your net profit, look your profit factor, do all your robustness tests, look if it is too much fitted(a pivot graph with xls may be useful), think if your rules are just a data mining result or are the result of something that can be applyed profitably to the market and backtest on at least 10 years historical.
If everything is ok and you are worryed that markets change and when you put it live it starts loosing money, well you have to live with it or do something else There is no solution for it but diversification on a large number of strategies, so if and when one start loosing money you still have others are making but it's really a long and tough process and never end.
One thing you mentioned is the profit factor, and that is the main thing I am concerned about. It has a profit factor of around 1.15 which is quite low.
OK, if you'd read my other journal ( here at Big Mike's, you'll know (as of today) that I have attempted 2 TopStepTrader Combines in the past few months. I did not achieve the profit goal in either of them :faint:, but qualified for a rollover …
He covers quite a bit on the good, the bad, and the ugly of automated trading.
I think profit factor is not the only thing you should look, however I agree with you that 1.15 is pretty low, I actually would say too much low but I don't like to express strong opinions especially if based on just one input. If you post your stats I could give you a better opinion anyway the thread that @tturner86 suggested, can give you a lot of useful informations
There is no solution for it but diversification on a large number of strategies, so if and when one start loosing money you still have others are making but it's really a long and tough process and never end.
